Tearsheet

Category Value Note
Metric
Period frequency Meta 1D Interpretation: Sampling frequency used for annualization. Smaller periods are generally more granular (but can be noisier).
Benchmark Asset Meta BTC Interpretation: Column name of the benchmark asset used for alpha/beta and benchmark charts (if provided).
Fee % Meta 0.00025 Interpretation: Trading fee rate applied to order notional (decimal units; e.g. 0.001 = 10 bps).
Slippage % Meta 0.001 Interpretation: Slippage applied against the trader on execution prices (decimal units; e.g. 0.001 = 10 bps).
Init Cash Meta 10000.0 Interpretation: Initial cash (starting equity) used for the simulation.
Trading Days Year Meta 365 Interpretation: Trading days per year used for annualization.
Risk Free Rate Meta 0.03 Interpretation: Annual risk-free rate used for Sharpe/Sortino (decimal units).
Simulation start date Meta 2023-08-09 00:00:00+00:00 Interpretation: First timestamp in the simulation index. Earlier start dates generally make estimates more statistically stable.
Simulation end date Meta 2025-12-06 00:00:00+00:00 Interpretation: Last timestamp in the simulation index. More recent end dates generally better reflect current market conditions.
First transaction date Meta 2023-08-09 00:00:00+00:00 Interpretation: First timestamp with any executed trade. Earlier is generally better (less time inactive), depending on the strategy.
Annualized return % Performance 0.954832 Definition: Geometric mean return annualized (decimal units).
Interpretation: Higher is generally better, but interpret alongside risk and drawdowns.
Annualized volatility Performance 0.486667 Definition: Sample standard deviation of returns annualized (decimal units).
Interpretation: Lower is generally better for a given return level. Uses Bessel's correction (ddof=1) per industry standard.
Annualized Sharpe Performance 1.900338 Definition: Annualized excess return divided by annualized volatility (sample statistics).
Interpretation: Higher is generally better (rule of thumb: >1 is good, >2 is strong).
Max drawdown (equity) % Performance -30.015971 Definition: Worst peak-to-trough % decline in equity.
Interpretation: Less negative (closer to 0) is generally better.
Max drawdown (PnL) % Performance -213.575379 Definition: Worst drawdown of cumulative PnL relative to prior PnL peak.
Interpretation: Less negative (closer to 0) is generally better.
Total return % Performance 373.578518 Definition: Ending equity / initial cash minus 1, expressed in percent.
Interpretation: Higher is generally better.
Funding earnings Costs 10.013426 Definition: Sum of funding payments (positive means net earned).
Interpretation: Higher is generally better; negative values mean funding cost.
Fees Costs 1310.870193 Definition: Sum of trading fees paid.
Interpretation: Lower is generally better.
Annual turnover Costs 52.394012 Definition: Average per-period one-sided turnover annualized (not percent), computed as min(total buys, total sells) / equity before trading.
Interpretation: Lower is generally better (less trading/costs), unless the strategy requires frequent rebalancing.
Total order count Costs 52421 Definition: Count of non-zero notional orders executed.
Interpretation: Lower generally means less trading (and costs), but too low can indicate inactivity.
Average order notional Costs 100.02634 Definition: Mean absolute notional per executed order.
Interpretation: Good depends on liquidity and constraints; too large can be hard to execute.
Gross exposure mean % Exposure 128.741476 Definition: Average sum(|positions|) as % of equity.
Interpretation: Lower generally means less leverage; values above 100% indicate leveraged exposure.
Gross exposure median % Exposure 125.958446 Definition: Median sum(|positions|) as % of equity.
Interpretation: Lower generally means less leverage; values above 100% indicate leveraged exposure.
Gross exposure max % Exposure 400.43439 Definition: Maximum sum(|positions|) as % of equity.
Interpretation: Lower generally means tighter leverage control; very high peaks imply occasional high leverage.
Net exposure mean % Exposure -0.848327 Definition: Average signed exposure as % of equity.
Interpretation: Closer to 0 is generally more market-neutral; positive means net long, negative net short.
Net exposure median % Exposure -0.132525 Definition: Median signed exposure as % of equity.
Interpretation: Closer to 0 is generally more market-neutral; positive means net long, negative net short.
Net exposure max % Exposure 128.13548 Definition: Max absolute signed exposure as % of equity.
Interpretation: Lower absolute values generally mean better exposure control.
Alpha Benchmark 0.787718 Definition: Annualized intercept vs benchmark excess returns (CAPM-style, sample statistics).
Interpretation: Higher is generally better; near 0 implies little outperformance after adjusting for beta.
Beta Benchmark -0.057862 Definition: Slope vs benchmark excess returns (CAPM-style, sample covariance/variance).
Interpretation: Values near 1 behave like the benchmark; values near 0 have low benchmark sensitivity.
Benchmark annualized return % Benchmark 60.570186 Definition: Benchmark geometric mean return annualized (percent units).
Interpretation: Higher is generally better, but depends on your benchmark choice and sample.
Active annual return % Benchmark 20.026842 Definition: Arithmetic mean of (strategy - benchmark) period returns annualized (percent units).
Interpretation: Uses arithmetic (not geometric) mean to match tracking error calculation. Higher is generally better; negative means underperformance vs the benchmark.
Tracking error Benchmark 0.697594 Definition: Sample std dev of active returns annualized (decimal units).
Interpretation: Lower means closer to the benchmark; higher means more active risk.
Information ratio Benchmark 0.287084 Definition: Active annual return divided by tracking error.
Interpretation: Higher is generally better (rule of thumb: >0.5 is decent, >1 is strong).
R2 vs benchmark Benchmark 0.003165 Definition: Squared correlation of returns vs benchmark returns.
Interpretation: Higher means the benchmark explains more of the returns; lower implies more idiosyncratic behavior.
Calmar ratio Distribution 3.18108 Definition: Annualized return divided by absolute max equity drawdown.
Interpretation: Higher is generally better (more return per unit of drawdown).
Skewness Distribution 2.387562 Definition: Skewness of period returns distribution.
Interpretation: More positive skewness is often preferred (more upside tail), all else equal.
Kurtosis Distribution 27.531241 Definition: Excess kurtosis of period returns distribution (normal distribution = 0).
Interpretation: Higher values indicate fatter tails; lower (negative) values indicate thinner tails.
Best period return Distribution 0.286998 Definition: Maximum single-period return.
Interpretation: Higher is generally better, but interpret alongside worst-period and drawdowns.
Worst period return Distribution -0.127536 Definition: Minimum single-period return.
Interpretation: Less negative (closer to 0) is generally better.
Hit rate Distribution 0.527059 Definition: Fraction of non-zero return periods that are positive.
Interpretation: Higher is generally better.
Avg win Distribution 0.018113 Definition: Mean return of positive-return periods.
Interpretation: Higher is generally better.
Avg loss Distribution -0.015632 Definition: Mean return of negative-return periods.
Interpretation: Less negative (closer to 0) is generally better.
Profit factor Distribution 1.291312 Definition: Sum of wins divided by absolute sum of losses.
Interpretation: Higher is generally better; values >1 mean wins outweigh losses.
Max drawdown duration (periods) Distribution 130 Definition: Longest consecutive underwater duration in periods.
Interpretation: Shorter is generally better (capital recovers faster).
Time to recovery (periods) Distribution 131 Definition: Periods from drawdown peak to recovering the prior peak.
Interpretation: Shorter is generally better.
Average holding period Portfolio 26.710457 Definition: Average consecutive periods with a non-zero position per asset.
Interpretation: Good depends on the strategy; shorter implies more trading, longer implies lower turnover.
Costs % gross pnl Portfolio 14.926118 Definition: Fees+slippage as % of gross PnL (before costs).
Interpretation: Lower is generally better; near 0 means costs are small relative to edge.
Funding % total pnl Portfolio 0.026804 Definition: Funding as % of net PnL.
Interpretation: Lower absolute values are generally better; large magnitudes mean funding dominates PnL.
Average funding settled Portfolio 0.011767 Definition: Average funding payment per period.
Interpretation: Positive is generally better; negative means funding paid on average.
Max abs weight Portfolio 2.020014 Definition: Maximum absolute target weight across assets/periods.
Interpretation: Lower is generally better (less concentration/leverage), given the strategy's intent.
Mean abs weight Portfolio 0.040634 Definition: Mean absolute target weight across assets/periods.
Interpretation: Lower is generally better (less aggregate risk), given the strategy's intent.
Annualized Sortino Risk 3.178483 Definition: Annualized excess return divided by annualized downside deviation.
Interpretation: Higher is generally better; focuses on downside risk unlike Sharpe which penalizes upside volatility.
Downside deviation Risk 0.290967 Definition: Sample std dev of negative returns annualized (decimal units).
Interpretation: Lower is generally better; measures downside risk only.
VaR 95% Risk -0.033384 Definition: Value at Risk at 95% confidence level (5th percentile of returns).
Interpretation: Less negative (closer to 0) is generally better; worst expected loss in 19 out of 20 periods.
CVaR 95% Risk -0.048141 Definition: Conditional Value at Risk at 95% confidence level (mean of returns below VaR).
Interpretation: Less negative (closer to 0) is generally better; average loss when VaR is exceeded.
Omega Ratio Risk 1.291312 Definition: Probability-weighted ratio of gains above threshold vs losses below threshold (uses 0 as threshold).
Interpretation: Higher is generally better; values >1 mean gains outweigh losses.
Gain-to-Pain Ratio Risk 0.127138 Definition: Sum of returns divided by sum of absolute returns.
Interpretation: Higher is generally better; measures return per unit of total volatility.
Ulcer Index Risk 5.993044 Definition: RMS (root mean square) of drawdowns, annualized.
Interpretation: Lower is generally better; alternative drawdown-based risk measure that penalizes depth and duration.
Weight IC mean (next) Signal 0.022116 Definition: Time-average cross-sectional correlation between weights at t and next-period asset returns (close-to-close), computed over the active universe (non-zero weights) each period.
Interpretation: See definition.
Weight IC t-stat (next) Signal 1.931289 Definition: t-stat of the time series of per-period weight IC values.
Interpretation: Higher absolute values suggest more statistically reliable alignment (not a guarantee).
Weight Rank IC mean (next) Signal -0.013531 Definition: Time-average Spearman-style (rank) IC between weights and next-period asset returns, computed over the active universe (non-zero weights) each period.
Interpretation: See definition.
Weight Rank IC t-stat (next) Signal -1.191637 Definition: t-stat of the time series of per-period weight rank IC values.
Interpretation: See definition.
Top-bottom decile spread mean (next) Signal 0.005087 Definition: Time-average next-period return spread between the top and bottom weight deciles within the active universe (assets with non-zero weights) each period.
Interpretation: See definition.
Top-bottom decile spread t-stat (next) Signal 2.234272 Definition: t-stat of the time series of top-minus-bottom decile spreads.
Interpretation: See definition.
Weighted long hit rate mean (next) Signal 0.476172 Definition: Average fraction of long gross weight placed in assets that have positive next-period returns (weights within each period).
Interpretation: Higher is generally better.
Weighted short hit rate mean (next) Signal 0.515359 Definition: Average fraction of short gross weight placed in assets that have negative next-period returns (weights within each period).
Interpretation: Higher is generally better.
Forward return per gross mean (next) Signal 0.001856 Definition: Average of (Σ w_t,i r_{t+1,i}) / (Σ |w_t,i|) each period.
Interpretation: Normalizes for varying leverage and compares return per unit of gross weight.
Forward return selection per gross mean (next) Signal 0.001625 Definition: Average of the cross-sectional selection component of Σ w_t,i r_{t+1,i}, normalized by gross weight (active universe, next-period).
Interpretation: Higher is generally better.
Forward return selection per gross t-stat (next) Signal 2.675715 Definition: t-stat of the time series of per-period selection-per-gross values.
Interpretation: See definition.
Forward return directional per gross mean (next) Signal 0.000231 Definition: Average of the directional component (net weight × mean next return of the active universe), normalized by gross weight (next-period).
Interpretation: Magnitude near 0 indicates little directional dependence.
Forward return directional per gross t-stat (next) Signal 1.328641 Definition: t-stat of the time series of per-period directional-per-gross values.
Interpretation: See definition.
Gross weight mean Signal 1.280167 Definition: Average gross weight (Σ |w_t,i|) across periods with available next returns.
Interpretation: Higher implies more leverage/total exposure in the signal.
Directionality mean Signal 0.004842 Definition: Average net-to-gross ratio (Σ w_t,i) / (Σ |w_t,i|).
Interpretation: Values near 0 indicate market-neutral; positive is net long; negative net short.

Equity

Definition: Portfolio cumulative return (%) over time, optionally compared to a benchmark.
Interpretation: Upward sloping is good; compare vs benchmark for relative performance and watch for regime changes.

Drawdown

Definition: Percent drawdown from the running peak of the equity curve.
Interpretation: More negative and longer-lasting drawdowns indicate higher risk; evaluate depth and recovery speed.

Rolling Sharpe

Definition: Rolling 30-period Sharpe ratio: rolling mean(excess return) / rolling std(excess return), annualized.
Interpretation: Higher and stable is better; sustained negative values indicate persistent underperformance vs the risk-free rate.

Returns Distribution

Definition: Histogram of period returns (%).
Interpretation: Skew and fat tails matter: a positive mean with a negative median suggests outlier-driven performance.

Signal

Definition: Per-period cross-sectional correlation between weights and next-period returns (IC), with an optional rolling mean overlay.
Interpretation: Positive IC means higher weights tend to predict higher next returns; noisy IC suggests weak or unstable signal.
Definition: Per-period difference between mean next returns of the top weight decile and bottom weight decile.
Interpretation: A consistently positive spread indicates a monotonic signal; negative/flat spread suggests weak ranking power.
Definition: Decomposition of next-period portfolio return into selection vs directional components (per gross exposure).
Interpretation: Selection reflects cross-sectional ranking skill; directional reflects net bias. Large directional can imply unintended market exposure.
Definition: Mean next-period return of assets in each weight decile (bucketed each period by sorting non-zero weights).
Interpretation: Should be increasing with decile for a good long signal; does not account for portfolio sizing—use contribution charts for PnL impact.
Definition: Median next-period return of assets in each weight decile.
Interpretation: More robust than the mean; big gaps vs the mean indicate skew/outliers driving results.
Definition: Annualized Sharpe computed across all decile observations: mean(excess next return) / std(next return).
Interpretation: Higher is better risk-adjusted ranking; low `n` makes estimates noisy, and near-zero std can distort results.
Definition: Mean next-period portfolio contribution per decile: average of (weight × next return) across observations.
Interpretation: Directly answers which buckets help/hurt PnL; negative bars identify deciles where your sizing and direction are misaligned with next returns.
Definition: Same as contribution-by-decile, split into contributions from long weights and short weights within each decile.
Interpretation: Shows whether long/short legs are working; a negative short contribution means shorts tend to rise (hurting performance), and vice versa.
Definition: Histogram of per-period IC / Rank IC values.
Interpretation: A distribution shifted above 0 indicates consistent predictive power; wide distributions indicate instability.
Definition: Histogram of per-period top-minus-bottom decile spreads.
Interpretation: A distribution centered above 0 supports a useful ranking signal; frequent negative spreads indicate inversion or regime sensitivity.